China's segmented stock market provides an opportunity to study conditional international
asset pricing from multiple viewpoints—domestic and foreign. We use the multivariate GARCH…

… Jacobsen formally shows in this article that a portfolio manager can also generate investor
surplus by having asymmetric betas, that is, when the beta in up markets is different than the …

There is an ongoing debate over the merits of active portfolio management. Although this
article does not settle that debate, the author helps frame issues related to whether active …

According to Warren Buffett, investing is simple, but it is not easy. This eloquent sentence
captures the complexities financial advisers and clients face in identifying and implementing an …

One of the challenges of using downside risk measures as an alternative constructor of portfolios
and diagnostic devise is in their computational intensity. This paper outlines how to use …

Stock price anomalies have been studied in detail; however, most studies use daily closing
prices or volume-weighted average prices for identifying day-of-the week and holiday effects. …

It has become almost a platitude to say that downside risk measures are superior to traditional
risk measures such as standard deviation. One of the challenges of using downside risk …

TG is a shareholder of Westlake Omics Inc. TI is a cofounder of Data4Cure, is on the Scientific
Advisory Board and has an equity interest. TI is on the Scientific Advisory Board of Ideaya …

If there is a shift of market power from manufacturers to retailers or from retailers to manufacturers,
how are consumers affected? When the value chain has successive firms, each with …

Investors may have different levels of willingness and ability to adjust portfolio allocations.
Some may want to" set it and forget it" while others concern themselves with daily changes in …